Lena Boneva, Oliver Linton, and Michael Vogt, "The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market", Journal of Applied Econometrics, Vol. 31, No. 1, 2016, pp. 192-213. Data on fragmentation used in the article are obtained from Fidessa. To inquire about access to the data, please contact Fidessa One Old Jewry London EC2R 8DN United Kingdom +44 (0) 20 7105 1000 eu.info@fidessa.com http://www.fidessa.com/ Data on prices, market capitalization, number of shares, VIX, and index returns are obtained from datastream. The data codes used are: P,PH,PL,PA,PB,PO,MV,NOSH,RI. Please address any questions to: Lena Boneva Bank of England Threadneedle St London EC2R 8AH Lena.Boneva [AT] bankofengland.co.uk